The R package GEVSSVS provides a generalized extreme value (GEV) stochastic search variable selection (SSVS) regression method to select covariates in an extreme value framework. Details about the method can be found in Castillo-Mateo et al. (2023) doi:10.3390/math11030759.
You can install the package from GitHub
if (!require("remotes")) install.packages("remotes")
remotes::install_github("JorgeCastilloMateo/GEVSSVS")To cite GEVSSVS in publications use:
Castillo-Mateo J, Asín J, Cebrián AC, Mateo-Lázaro J, Abaurrea J (2023). “Bayesian variable selection in generalized extreme value regression: Modeling annual maximum temperature.” Mathematics, 11(3), 759. doi:10.3390/math11030759.
A BibTeX entry for LaTeX users is
@Article{,
title = {Bayesian variable selection in generalized extreme value regression: {Modeling} annual maximum temperature},
author = {Jorge Castillo-Mateo and Jes\'us As{\'\i}n and Ana C. Cebri\'an and Jes\'us Mateo-L\'azaro and Jes\'us Abaurrea},
journal = {Mathematics},
year = {2023},
volume = {11},
number = {3},
pages = {759},
doi = {10.3390/math11030759},
}